The advanced archiving of Office 365 uses a search feature called Multi-Mailbox-Search. This feature is comparable to the Exchange Hosted Archive (EHA) Viewer’s Discovery tab, allowing you to search across all mailboxes and copy messages to a folder for review or export.
Improvements in Office 365 include being able to cancel exports that are in progress. Also the ability to estimate the search results before running your real search.
There are some limitations in the multi-mailbox-search:
Compliance Managers and others that need to run searches must have the Discovery Management role assigned to their account (Global Admin can assign this role to itself and others, but does not automatically get this role and cannot do multi-mailbox-searches without it).
For more detailed information on performing multi-mailbox-search visit the Multi-Mailbox Searches page here.